A synthetic factor approach to the estimation of value-at-risk of a portfolio of interest rate swaps.

Autor: Niffikeer, Cindy I.1 cindyn@algorithmics.com, Hewins, Robin D.2 r.hewins@ic.ac.uk, Flavell, Richard B.3 RF@lombardrisk.com
Zdroj: Journal of Banking & Finance. Dec2000, Vol. 24 Issue 12, p1903-1932. 30p. 2 Graphs.
Databáze: Business Source Ultimate
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